ANNEX XVIII U.K. INTEGRATION TECHNIQUES FOR PARTIAL INTERNAL MODELS

E. Integration technique 4 U.K.

(2) For all modules of the standard formula referred to in paragraph 1(h)(ii), the capital requirement of a particular module shall be calculated with the formula set out in paragraph 1, applying the following denominations: U.K.

(a)

P denotes the capital requirement reflecting the risks of the sub-modules of that particular module which are within the scope of the partial internal model, calculated with the partial internal model;

(b)

S_S denotes the capital requirement derived by applying that particular module only to the risks not covered by the partial internal model;

(c)

k denotes the number of sub-modules of that particular module that are within the scope of the partial internal model;

(d)

n denotes the number of sub-modules of that particular module;

(e)

l denotes the number of sub-modules of that particular module for each of which the capital requirement can be calculated with the partial internal model;

(f)

Corr_(i,j) denotes the correlation parameter of the standard formula for the aggregation of sub-modules i and j of that particular module;

(g)

P_i denotes the capital requirement for the sub-module i of that particular module, calculated with the partial internal model;

(h)

S_i and S_j denote the capital requirement for sub-modules i and j of that particular module respectively which are calculated in the following way:

i.

the sub-module is calculated with the standard formula provided that the sub-module does not consists of other sub-modules;

ii.

the sub-module is calculated in accordance with paragraph 3 provided that the sub-module consist of other sub-modules.

(i)

SCR_int shall be set to zero.